Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0008
Annualized Std Dev 0.1482
Annualized Sharpe (Rf=0%) 0.0057

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1015
Quartile 1 -0.0036
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0039
Maximum 0.1709
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0093
Skewness 0.4698
Kurtosis 37.6161

Downside Risk

Close
Semi Deviation 0.0067
Gain Deviation 0.0074
Loss Deviation 0.0078
Downside Deviation (MAR=210%) 0.0117
Downside Deviation (Rf=0%) 0.0067
Downside Deviation (0%) 0.0067
Maximum Drawdown 0.5000
Historical VaR (95%) -0.0124
Historical ES (95%) -0.0219
Modified VaR (95%) -0.0069
Modified ES (95%) -0.0069
From Trough To Depth Length To Trough Recovery
2005-07-08 2008-10-10 2011-12-30 -0.5000 1634 822 812
2012-11-30 2020-03-23 NA -0.3830 2090 1839 NA
1999-01-05 2000-05-15 2003-06-09 -0.2705 1112 344 768
2003-06-16 2004-05-10 2005-07-01 -0.1674 517 228 289
2012-02-01 2012-03-16 2012-07-25 -0.1039 122 32 90

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0 0 -1.3 -0.5 -0.9 0.9 0 0.5 0 1.1 1.7 1.5
2000 -0.5 -1.1 2.2 -0.5 1.6 1 -0.5 0.5 0 0 0 -0.1 2.6
2001 0.2 0.5 0.9 -0.1 -0.1 -0.3 0.4 -0.1 0.7 1.1 -0.2 1.6 4.7
2002 -0.3 0.2 -0.4 -0.5 0.4 -0.2 1.2 0.1 0.1 0 0.6 0.1 1.3
2003 0.4 0.1 0.4 0.6 0.3 0.9 0.4 0.5 0.3 0.3 -0.2 0.6 4.6
2004 0.9 0.2 0.3 0.4 0.2 0.8 0.8 -0.1 -0.1 0.5 -0.1 0.5 4.4
2005 0.3 0 1 0.3 0.3 0.1 0.1 0.5 0.8 0.1 0.1 0.1 3.9
2006 -0.3 -0.1 -0.1 0 0.8 -0.1 -0.2 0.1 0.1 0.8 0.8 1.1 2.9
2007 -0.1 0.2 -0.1 0.5 -0.1 0.5 0.1 0.7 0.4 0.2 0.3 1.1 3.7
2008 -0.1 -2.2 1.2 -0.3 0 0.6 -0.5 0.2 3.5 2.4 -2.2 0 2.4
2009 -3.3 0.3 1.1 0.1 0 1.6 -0.5 0.4 -0.1 0 0.2 0.4 0.3
2010 -0.8 0.2 0 0.1 -0.1 0.1 0.4 -0.1 0.4 0 -2.1 2.6 0.7
2011 1.2 -0.1 1 0.2 0.9 1 3.1 0.7 -0.3 2.3 0.7 0.8 11.9
2012 -0.5 -0.2 -0.6 0.6 -0.2 0.9 -0.1 -0.3 0.4 0.1 -0.3 -1.1 -1.4
2013 -0.5 0.1 -0.1 -0.1 -2.3 1.4 -1.1 0 -0.4 -1.1 0.1 -0.1 -4
2014 0.3 0.1 -0.4 0.1 0.1 0 0.3 0.3 0.6 -0.3 0.5 -0.8 0.8
2015 0.5 0.9 0.3 -0.5 -0.2 0.3 1.4 -0.1 0.3 0.4 1 0.3 4.8
2016 0.4 -0.4 -0.2 0.2 0.7 0.1 -0.4 0.4 -0.5 0.1 -0.4 0.3 0.3
2017 -0.3 -0.5 0.3 0.4 0.6 0.2 0 0.5 -0.5 -0.2 0.5 0.1 1.2
2018 -0.3 -0.2 1 0.1 -0.2 0.3 0.5 0.1 -0.4 -0.1 -0.1 -0.1 0.6
2019 0.2 -0.4 0.1 0.4 0.3 -0.3 0.8 0.5 0 -0.3 -0.5 0 0.9
2020 0 -0.8 -1 0 1 0 0.4 0.5 0.9 0.3 0.7 -0.3 1.6
2021 0.5 -1 0.3 NA NA NA NA NA NA NA NA NA -0.2

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart